ARahimiQuant / lead-lag-portfolios
Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic portfolio construction.
☆14Updated last year
Alternatives and similar repositories for lead-lag-portfolios:
Users that are interested in lead-lag-portfolios are comparing it to the libraries listed below
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- ☆17Updated 4 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Non-Linear Covariance Shrinkage☆14Updated 3 years ago
- ☆24Updated 2 weeks ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 7 years ago
- Market making strategies and scientific papers☆13Updated last year
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆14Updated 3 years ago
- FactorLab is a python library that enables the discovery and analysis of alpha and risk factors used in the investment algorithm developm…☆19Updated last month
- ☆13Updated last year
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆32Updated 5 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆10Updated 2 years ago
- Calibration of a Surface SVI☆12Updated 6 years ago
- Package to build risk model for factor pricing model☆24Updated 6 months ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆12Updated 3 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- Implements different approaches to tactical and strategic asset allocation☆30Updated last month
- ☆21Updated 5 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆12Updated 2 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆25Updated last year
- ☆12Updated 3 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆21Updated last year
- ☆17Updated 8 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- 雪球结构产品定价☆28Updated last year
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 3 years ago